Back home in the frigid Midwest, we noticed the furnace cycling on and off quite frequently: about every five minutes, to be exact. That's not normal for most furnaces, even when it's really cold outside. Frequent cycling wastes fuel and causes wear and tear on the burner, so we did a bit of investigative manual-reading.
Most thermostats need you to change a setting that indicates what kind of furnace you have. Getting into the setting mode on this thermostat was no easy task; if you don't have the manual at your disposal, the manufacturer's website or some tactical Google searching will probably tell you the right sequence of buttons to push.
This particular thermostat, a Honeywell, had no fewer than five settings, including one at the top of the list for "gas," and another, further down the list for "gas, more than 90% efficient." It was set for "gas, standard efficiency."
So back to Google we went, to discover that the furnace in question, a Trane XE 90, is indeed more than 90% efficient. (If you can easily see your furnace, a white plastic exhaust pipe or chimney is a sure sign of this.) We changed the setting, and presto: the furnace no longer cycles on and off constantly, and the house seems more comfortable and less drafty.
While you're at it, change the furnace filter, too; you'll get cleaner air in the house and help increase efficiency a bit because the air can flow more easily.